Characterization of Stationary Discrete-Time Gaussian Reciprocal Processes over a Finite Interval

DOI10.1137/S0895479801368622MaRDI QIDQ4785777zbMATH OpenOpenAlexFDO

Authors Bernard C. Levy, Augusto Ferrante

Publication date 5 January 2003

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0895479801368622

zbMATH Keywords

covariance matrixsymplectic matrix pencilGaussian reciprocal process

Mathematics Subject Classification ID

Gaussian processes (60G15) Hermitian, skew-Hermitian, and related matrices (15B57) Stationary stochastic processes (60G10) Canonical forms, reductions, classification (15A21) Matrix pencils (15A22)

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Cited in

(15)

• Nearest-neighbour modelling of reciprocal chains
• Modeling and estimation of discrete-time Gaussian reciprocal processes
• scientific article; zbMATH DE number 720267 (Why is no real title available?)
• Employing the algebraic Riccati equation for a parametrization of the solutions of the finite-horizon LQ problem: the discrete-time case
• Some new smoother implementations for discrete-time gaussian reciprocal processes
• An efficient algorithm for maximum entropy extension of block-circulant covariance matrices
• scientific article; zbMATH DE number 482244 (Why is no real title available?)
• scientific article; zbMATH DE number 627543 (Why is no real title available?)
• Periodic vector processes with an internal reciprocal dynamics
• Representations for multivariate reciprocal Gaussian processes
• On Miroshin’s Second-Order Reciprocal Processes
• Multivariate reciprocal stationary Gaussian processes
• Modeling of stationary periodic time series by ARMA representations
• A new characterization for multivariate Gaussian reciprocal processes
• A unified approach to finite-horizon generalized LQ optimal control problems for discrete-time systems

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